Panel VECM

[Kwon, Hyuck Shin]

Hi all~
I would like to apply for panel VECM for my thesis.
So I am wondering if there is any command for panel VECM that can be performed in Stata, or anyone could provide a code or suggest where to search.
Thank you very much in advance,
Kwon, Hyuck Shin

[Kerri Agnew]

Hi, I think you have to download a program for this but it is not available publically. I remember reading this a few months ago that the panel VAR program was written by Inessa Love, who used to and perhaps still does work at the World Bank. You may need to contact her directly, because the program is not available for download on STATA, at least as far as I know. Although this could be helpful, someone has amended Inessa's program: http://www.rdecker.net/code .

[Konrad Zdeb]

And how about vec?

[Kerri Agnew]

Panel VECM, SVAR's and VAR's are in that package

[Kwon, Hyuck Shin]

Hello Kerri and Konrad,

Thank you very much for the replies.

I can't find Panel VECM in the STATA package.

So as Kerri mentioned above, I will contact Inessa Love directly

Thank you again for your help .

Sincerely,

Hyuck Shin

[Soledad Feal]

Hello Hyuck Shin,

I am also trying to estimate a panel VECM in Stata, particularly using GMM, and I am wondering if you were able to get further information after your post.
Thank you very much in advance,

Soledad

[Nigar Hashimzade]

Inessa Love made it available for download here: https://sites.google.com/a/hawaii.ed...love/home/pvar (you can use it under certain conditions).

[Daniel Colombo]

Hello everyone! Did any of you manage to use pvar to perform a panel VECM? If so, could you share the details?

I`m trying to implement this analysis, but I`m using a different command (xtpmg), as below:

1) For Unit root analysis:
xtunitroot ips a, lags(aic) ; a = y or x variable

2) For the cointegration test (Pedroni):
xtpedroni y x_list, nopdols lagselect(aic)

3) For the error correction model:
xtpmg d.y d.(x_list), lr(l.y x_list) noconst replace pmg

Does anyone have experience with xtpmg to share?

Thanks in advance,
Daniel Colombo

[Sebastian Kripfganz]

The xtpmg package has been a topic on Statalist for several times. If you perform a search for this keyword, you might find some useful past discussions:
http://www.statalist.org/forums/search?q=xtpmg

[Azza Mansour]

Hello I am also working on Panel VECM in my thesis. I downloaded the files that you specify on the answer thread for Dr Inessa Love. But I noticed it is panal VAR . Since I seek to apply panel cointegration test suggested by Groen and Kleibergen (2003) I was wondering if you passed by a stata program that apply this method of cointegration to panel data on stata. Thanks

[Phuong Phung]

Hi. I am also working on panel VECM. I wonder if there is any new update related to this topic so far?